Leyton Orient v Sheffield Wednesday: Purse backs Owls to finish on a high
The Owls had opened the door for Purse's move on Thursday night by agreeing to him leaving Hillsborough.
His departure followed the arrival of three defenders – Mark Reynolds, Michael Morrison, and Reda Johnson – as the Owls invested in new players following Milan Mandaric's takeover.
"It has been a privilege for me to captain Sheffield Wednesday and I wish the club the very best," said Purse. "It was a pleasure working with the lads and I know the quality is there for a successful season."
Purse, 33, is likely to make his debut for Millwall in the Championship today at Leicester City.
The Owls, meanwhile, visit Leyton Orient seeking a victory to get back into the League One play-off zone. Although the Londoners are 18th in the table, they have won four of their last six games and beat Norwich City in the third round of the FA Cup.